Decomposition methods in stochastic programming

  title={Decomposition methods in stochastic programming},
  author={Andrzej Ruszczynski},
  journal={Math. Program.},
Stochastic programming problems have very large dimension and characteristic structures which are tractable by decomposition. We review basic ideas of cutting plane methods, augmented Lagrangian and splitting methods, and stochastic decomposition methods for convex polyhedral multi-stage stochastic programming problems. @ 1997 The Mathematical Programming Society, Inc. Published by Elsevier Science B.V. 


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